| Close | |
|---|---|
| Annualized Return | 0.0223 |
| Annualized Std Dev | 0.2051 |
| Annualized Sharpe (Rf=0%) | 0.1088 |
| Close | |
|---|---|
| Observations | 4806.0000 |
| NAs | 1.0000 |
| Minimum | -0.0974 |
| Quartile 1 | -0.0056 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1357 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0129 |
| Skewness | 0.0472 |
| Kurtosis | 10.0104 |
| Close | |
|---|---|
| Semi Deviation | 0.0093 |
| Gain Deviation | 0.0093 |
| Loss Deviation | 0.0099 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.5306 |
| Historical VaR (95%) | -0.0197 |
| Historical ES (95%) | -0.0310 |
| Modified VaR (95%) | -0.0183 |
| Modified ES (95%) | -0.0220 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-30 | 2009-03-09 | NA | -0.5306 | 3371 | 341 | NA |
| 2002-01-07 | 2002-09-30 | 2004-12-06 | -0.4532 | 684 | 151 | 533 |
| 2004-12-07 | 2006-01-20 | 2006-05-05 | -0.1076 | 356 | 283 | 73 |
| 2007-07-20 | 2007-08-15 | 2007-09-13 | -0.0828 | 39 | 19 | 20 |
| 2007-02-27 | 2007-03-05 | 2007-04-03 | -0.0818 | 26 | 5 | 21 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 | -0.2 | 0.5 |
| 2002 | 0.6 | 0.9 | -0.6 | 0.1 | 0.3 | 1.3 | 1 | -2.8 | 4.1 | 1 | 0.1 | 0.8 | 7.1 |
| 2003 | -1.4 | 0.6 | 1.3 | 0.2 | 1.5 | 0.6 | -0.6 | 0.2 | 1.4 | -0.6 | 2.2 | 1 | 6.5 |
| 2004 | 1.2 | 1.5 | 0.6 | -0.2 | -0.4 | -0.3 | -0.3 | 0.7 | 2.3 | -0.2 | 2 | 0.1 | 7.1 |
| 2005 | 0.1 | 0.9 | -0.6 | 0.8 | -0.5 | -0.1 | 1 | 0.8 | 0.1 | -0.4 | 0.6 | -0.2 | 2.3 |
| 2006 | 0 | 1.4 | 0.1 | 0.5 | 1.6 | 1.8 | -1 | 0.7 | 0.9 | -1.1 | -0.7 | 0.3 | 4.6 |
| 2007 | 0.4 | -1.7 | -0.2 | 0.6 | 0.6 | 0 | 0.9 | 2 | 1 | -2.7 | 0 | -0.7 | 0.3 |
| 2008 | 0.2 | -2.4 | 2.6 | 1.1 | 0.4 | -0.3 | -1.1 | -0.8 | -0.1 | -1.4 | -5.9 | 2.1 | -5.8 |
| 2009 | -0.9 | 0.8 | 3.4 | 1.8 | 0.6 | 1 | 0.6 | -2.1 | -2.2 | -2.8 | 2 | -0.3 | 1.7 |
| 2010 | 1.1 | 0.5 | 0.8 | -0.3 | -0.5 | 1.3 | -0.1 | 2.2 | 1.1 | -0.1 | 1.7 | 0.7 | 8.6 |
| 2011 | 1.3 | -0.6 | 0.6 | -0.1 | -1.5 | 0.9 | 0.3 | -0.3 | -1.6 | -2.1 | -0.8 | 0.6 | -3.4 |
| 2012 | 0.1 | 0.3 | 0.2 | 0.4 | -1 | 1.9 | 0.2 | 0.5 | -0.2 | 1 | -0.2 | 0.9 | 3.9 |
| 2013 | 1.1 | -0.1 | -0.1 | -0.5 | -1.7 | 0.1 | 1.4 | -0.3 | 0.7 | 0 | -0.2 | 0.1 | 0.5 |
| 2014 | -0.4 | -0.3 | 0.3 | 0.2 | 0.2 | 0.9 | -0.6 | 0.4 | -1.2 | 1.4 | -0.8 | -0.8 | -0.8 |
| 2015 | -1.4 | 0 | 0.7 | 0.3 | -0.8 | 0.4 | 0.1 | -2.8 | -0.6 | 0.2 | 0.5 | -0.6 | -4 |
| 2016 | 1.2 | 2 | -0.3 | -0.1 | -0.5 | 0.4 | -0.2 | 0.3 | -0.2 | -0.6 | -0.3 | -0.2 | 1.5 |
| 2017 | -0.4 | 0.6 | -0.2 | 0 | 0.2 | 0.1 | 0.5 | -0.6 | 0.2 | 0 | -0.2 | -0.3 | 0 |
| 2018 | 0.4 | -0.9 | 0.6 | -0.6 | 0.5 | 0 | -0.1 | -0.6 | 0 | 0.2 | 0.3 | 0.1 | -0.2 |
| 2019 | -0.3 | 0.4 | 1.4 | -0.6 | -1.3 | 0.8 | -0.6 | -0.1 | -0.7 | 0.7 | -0.4 | 0 | -0.8 |
| 2020 | -1.4 | -0.1 | -3.8 | -1.3 | 1.5 | 1.8 | 0 | 0.7 | 1.3 | -1 | 1.7 | 0.6 | -0.1 |
| 2021 | 2.1 | 2.7 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.3 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2001-11-16 53.3 SPY 114. -0.0044 0.0145 0.0646 -0.0412 -0.163 NA NA <NA> NA NA NA
2 2001-11-20 52.7 SPY 115. -0.0084 0.0022 0.0487 -0.0324 -0.175 NA NA <NA> NA NA NA
3 2001-11-21 51.9 SPY 114. -0.0066 -0.0054 0.0471 -0.0232 -0.183 NA NA <NA> NA NA NA
4 2001-11-23 52.1 SPY 116. 0.0144 0.0071 0.065 -0.0182 -0.158 NA NA <NA> NA NA NA
5 2001-11-28 52.0 SPY 113. -0.0181 -0.0127 0.0548 -0.028 -0.163 NA NA <NA> NA NA NA
6 2001-11-29 51.5 SPY 115. 0.0135 0.0073 0.082 -0.0349 -0.131 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>